Despite continued market rumors and innuendo, and following an open letterto investors from the Jefferies Group Chairman and CEO, the implied volatility of options on shares of JEF is lower Monday, while the cost to borrow shares remains slightly elevated.
After closing at 211 percent for December at the money options on November 18, option volatility Monday is a relatively tame 180 percent. There are currently no weekly options on JEF.
“There’s been a lot of speculation, volatility has exploded,” says Steve Sosnick Timber Hill Equity Risk Manager. And so has the volume, nearly 40,000 contracts traded today alone in December options which Sosnick characterized as “huge” for a stock like Jefferies.